Developed World ex-US 40/60 Momentum vs Tyler Golden Butterfly Portfolio Comparison

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Tyler Golden Butterfly Portfolio
1.00$
Initial Capital
October 2014
1.90$
Final Capital
September 2024
6.62%
Yearly Return
8.46
Std Deviation
-17.79%
Max Drawdown
30 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Tyler Golden Butterfly Portfolio
1.00$
Initial Capital
August 2009
3.13$
Final Capital
September 2024
7.82%
Yearly Return
7.95
Std Deviation
-17.79%
Max Drawdown
30 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The Tyler Golden Butterfly Portfolio obtained a 6.62% compound annual return, with a 8.46% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Golden Butterfly
Tyler 		11.90 2.25 8.81 24.13 6.88 6.62 7.82
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

Tyler Golden Butterfly Portfolio: an investment of 1$, since October 2014, now would be worth 1.90$, with a total return of 89.91% (6.62% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

Tyler Golden Butterfly Portfolio: an investment of 1$, since August 2009, now would be worth 3.13$, with a total return of 213.26% (7.82% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Golden Butterfly
Author Tyler
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 18.55 24.13
Infl. Adjusted Return (%) 15.97 21.43
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.86
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -1.54
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.69 9.59
Sharpe Ratio 1.97 1.96
Sortino Ratio 2.73 2.76
Ulcer Index 0.75 0.98
Ratio: Return / Standard Deviation 2.77 2.52
Ratio: Return / Deepest Drawdown 7.27 8.43
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly
Author Tyler
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 3.75 6.88
Infl. Adjusted Return (%) -0.37 2.63
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Negative Period (months) 48 39
RISK INDICATORS
Standard Deviation (%) 8.62 10.36
Sharpe Ratio 0.18 0.45
Sortino Ratio 0.24 0.62
Ulcer Index 7.52 6.47
Ratio: Return / Standard Deviation 0.44 0.66
Ratio: Return / Deepest Drawdown 0.19 0.39
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly
Author Tyler
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 4.05 6.62
Infl. Adjusted Return (%) 1.18 3.68
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.91 8.46
Sharpe Ratio 0.37 0.61
Sortino Ratio 0.49 0.85
Ulcer Index 5.54 4.89
Ratio: Return / Standard Deviation 0.59 0.78
Ratio: Return / Deepest Drawdown 0.21 0.37
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Developed World ex-US 40/60 Momentum Golden Butterfly
Author Tyler
ASSET ALLOCATION
Stocks 40% 40%
Fixed Income 60% 40%
Commodities 0% 20%
PERFORMANCES
Annualized Return (%) 5.33 7.82
Infl. Adjusted Return (%) 2.72 5.15
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -17.79
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.93 7.95
Sharpe Ratio 0.63 0.86
Sortino Ratio 0.83 1.20
Ulcer Index 4.72 4.03
Ratio: Return / Standard Deviation 0.77 0.98
Ratio: Return / Deepest Drawdown 0.27 0.44
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Golden Butterfly
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.79 30 Jan 2022
Jun 2024
-7.72 5 Feb 2020
Jun 2020
-7.16 5 Feb 2020
Jun 2020
-6.37 8 Sep 2018
Apr 2019
-6.25 14 Feb 2015
Mar 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.27 8 Aug 2016
Mar 2017
-3.36 7 Aug 2016
Feb 2017
-3.05 3 Sep 2020
Nov 2020
-2.61 7 Feb 2018
Aug 2018
-2.45 2 Sep 2021
Oct 2021
-1.83 2 May 2019
Jun 2019
-1.62 5 Jan 2021
May 2021

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Developed World ex-US 40/60 Momentum Golden Butterfly
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-17.79 30 Jan 2022
Jun 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-7.16 5 Feb 2020
Jun 2020
-6.37 8 Sep 2018
Apr 2019
-6.25 14 Feb 2015
Mar 2016
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.84 6 Apr 2013
Sep 2013
-3.36 7 Aug 2016
Feb 2017
-3.27 4 Sep 2014
Dec 2014

Rolling Returns

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You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 August 2009 - 30 September 2024 (~15 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Developed World ex-US 40/60 Momentum Golden Butterfly
Year Return Drawdown Return Drawdown
2024
 9.76% -2.55% 11.90% -2.86%
2023
 10.83% -4.47% 11.98% -8.08%
2022
 -14.37% -19.07% -13.35% -17.79%
2021
 1.27% -2.17% 9.35% -2.45%
2020
 11.65% -7.72% 13.93% -7.16%
2019
 14.52% -0.27% 18.03% -1.83%
2018
 -4.03% -6.00% -4.03% -6.37%
2017
 11.62% -0.20% 10.96% -0.32%
2016
 2.96% -4.27% 10.82% -3.36%
2015
 0.07% -5.38% -3.71% -6.25%
2014
 1.57% -1.52% 9.13% -3.27%
2013
 8.39% -5.17% 6.26% -3.84%
2012
 12.90% -3.09% 8.84% -2.43%
2011
 -0.59% -8.94% 8.86% -3.00%
2010
 10.77% -4.04% 16.54% -2.77%